Give the transition matrix p of the embedded chain

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With P denoting the transition matrix defined in Exercise 10.9 of Chapter 2, let Q = P - I and consider a continuous time jump Markov process {Xt; t ≥ 0} whose infinitesimal generator is Q. 1. Give the transition matrix P of the embedded chain.

1. Give the transition matrix P of the embedded chain.

2. Describe the trajectories of the process {Xt}, and specify the parameters of the exponential laws of the time spent in the various states.

3. Show that the process {Xt} is irreducible and positive recurrent. Determine its invariant probability distribution.

4. Determine the invariant probability distribution of the embedded chain

Reference no: EM131266179

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